Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0026 |
| Annualized Std Dev | 0.1142 |
| Annualized Sharpe (Rf=0%) | 0.0226 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5585.0000 |
| NAs | 1.0000 |
| Minimum | -0.0878 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0037 |
| Maximum | 0.0689 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0072 |
| Skewness | -0.2633 |
| Kurtosis | 12.5005 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0052 |
| Gain Deviation | 0.0051 |
| Loss Deviation | 0.0055 |
| Downside Deviation (MAR=210%) | 0.0107 |
| Downside Deviation (Rf=0%) | 0.0051 |
| Downside Deviation (0%) | 0.0051 |
| Maximum Drawdown | 0.2450 |
| Historical VaR (95%) | -0.0103 |
| Historical ES (95%) | -0.0166 |
| Modified VaR (95%) | -0.0105 |
| Modified ES (95%) | -0.0152 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-03-11 | 2008-10-09 | 2012-09-10 | -0.2450 | 3397 | 2410 | 987 |
| 2012-10-19 | 2013-08-15 | 2019-08-27 | -0.2375 | 1723 | 205 | 1518 |
| 2020-02-11 | 2020-03-19 | 2020-11-25 | -0.1830 | 202 | 27 | 175 |
| 2021-02-11 | 2021-03-01 | NA | -0.1121 | 27 | 12 | NA |
| 1999-01-05 | 1999-01-25 | 1999-02-01 | -0.0610 | 19 | 14 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 3.8 | 0.4 | -0.8 | 0.4 | 0 | 0 | 0 | 0 | -0.5 | 0 | 0 | 0 | 3.3 |
| 2000 | 1 | -1 | 0 | 2 | 1 | 1.4 | 0 | 0 | 0.5 | 0.9 | 0.9 | -0.9 | 5.9 |
| 2001 | 0.6 | 0.5 | 1.1 | -0.3 | 0.1 | 0.1 | 0.7 | 0.2 | 0 | 1 | 0.1 | 1.1 | 5.4 |
| 2002 | 0.4 | 1 | 0.2 | 0.1 | -0.7 | 1 | -0.3 | 0.1 | 0.2 | 0.7 | -0.5 | -0.1 | 2.1 |
| 2003 | 0.8 | 0.5 | -0.3 | 0.1 | -0.1 | 1 | 1.2 | 0.5 | 0.6 | 0.5 | -0.4 | 0.1 | 4.4 |
| 2004 | 0 | 0.1 | 0.4 | 1.6 | -0.3 | 0.2 | 1.1 | 0.8 | 0.2 | 0.7 | 0.3 | 0.1 | 5.1 |
| 2005 | -0.1 | 0.5 | 0.1 | 0.2 | 0.6 | 0.1 | 0.2 | 0.1 | -0.4 | 0.2 | -1.3 | 0.5 | 0.7 |
| 2006 | -0.8 | -0.4 | 1 | -0.7 | -0.2 | 0.6 | 0.2 | -0.4 | -0.4 | 0.4 | 0.3 | 0.4 | 0.1 |
| 2007 | 0.1 | 0.1 | 0.2 | 0.4 | 0 | 0.3 | -0.6 | 0.5 | 0.2 | 0.2 | 0.3 | -0.2 | 1.4 |
| 2008 | 0.4 | -0.5 | 0.7 | 1.4 | -0.6 | -0.4 | -0.7 | 0.7 | 4.3 | 2.9 | 0.9 | -0.7 | 8.7 |
| 2009 | 0.1 | -0.7 | 2 | -0.4 | 0.4 | -0.2 | 0.8 | -0.1 | -0.5 | 0.7 | 0.1 | 0.8 | 3 |
| 2010 | 0.1 | 0.7 | -0.2 | -0.1 | -0.7 | -1.7 | 0.1 | 0.2 | -0.1 | 0.3 | -0.2 | 0.8 | -0.7 |
| 2011 | 0.7 | 0.5 | 0.3 | 0.9 | 0.5 | 0.8 | 1.3 | 0.8 | 0.3 | -0.3 | 0.2 | 0.7 | 7 |
| 2012 | 0.4 | 0.8 | -0.6 | -0.9 | -1.5 | -0.3 | 0.4 | 0.2 | 1.1 | 0.3 | 0.1 | 1.5 | 1.5 |
| 2013 | 0.8 | 0.7 | 1 | 1.3 | 0 | 1.1 | -1.5 | 0.6 | -0.1 | 0.4 | -0.3 | 0.2 | 4.2 |
| 2014 | 0.2 | -0.1 | -0.1 | 1.2 | -0.3 | -0.6 | 0.2 | 0.1 | -0.1 | 0.3 | 0.3 | -0.1 | 1.1 |
| 2015 | 0.4 | 0.7 | 0.2 | -1 | -0.2 | 0.9 | 0.2 | 0.1 | 0.1 | 0.2 | 0.3 | 0.3 | 2.3 |
| 2016 | 0.1 | 0 | 0.2 | -0.1 | 1 | -0.4 | 0.2 | 0.4 | -0.5 | -0.1 | -0.1 | 0.9 | 1.5 |
| 2017 | -0.4 | -0.7 | 0.4 | 0.3 | 0 | -0.5 | 0.5 | 0.1 | 0.7 | -0.3 | 0.1 | 0.3 | 0.4 |
| 2018 | 0 | 0.3 | -0.7 | 1.6 | -0.4 | -0.9 | 0.1 | 0.5 | 0.6 | -0.5 | 0.4 | -1.5 | -0.5 |
| 2019 | -0.2 | -0.3 | 0.5 | 0.9 | 0.3 | 0 | 0.5 | 0.3 | 0.3 | 0.3 | -0.2 | 0.4 | 2.8 |
| 2020 | 0.2 | -2.4 | -1.3 | 0.4 | 0.1 | 0.3 | 1.5 | 0.1 | -0.4 | 0.6 | -0.2 | 0.9 | -0.4 |
| 2021 | 1.2 | -2.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
